Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0746
Annualized Std Dev 0.2372
Annualized Sharpe (Rf=0%) 0.3147

Row

Daily Return Statistics

Close
Observations 4313.0000
NAs 1.0000
Minimum -0.1335
Quartile 1 -0.0059
Median 0.0009
Arithmetic Mean 0.0004
Geometric Mean 0.0003
Quartile 3 0.0072
Maximum 0.0987
SE Mean 0.0002
LCL Mean (0.95) 0.0000
UCL Mean (0.95) 0.0008
Variance 0.0002
Stdev 0.0149
Skewness -0.4770
Kurtosis 9.7005

Downside Risk

Close
Semi Deviation 0.0109
Gain Deviation 0.0105
Loss Deviation 0.0120
Downside Deviation (MAR=210%) 0.0153
Downside Deviation (Rf=0%) 0.0107
Downside Deviation (0%) 0.0107
Maximum Drawdown 0.6405
Historical VaR (95%) -0.0222
Historical ES (95%) -0.0363
Modified VaR (95%) -0.0232
Modified ES (95%) -0.0462
From Trough To Depth Length To Trough Recovery
2007-06-05 2009-03-09 2013-01-28 -0.6405 1423 444 979
2018-08-30 2020-03-23 2021-01-06 -0.4697 592 392 200
2015-06-24 2016-02-11 2016-08-23 -0.2203 295 161 134
2014-07-07 2014-10-13 2014-11-24 -0.1104 100 70 30
2004-04-05 2004-05-17 2004-09-16 -0.1081 114 30 84

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2004 NA 1.3 0.5 -0.5 -0.4 -0.7 0.4 0.5 1.6 0.6 1.4 0 4.8
2005 0.7 0.9 -0.2 -0.8 0.8 0.4 0.4 0.7 0.6 -0.5 1.7 -0.7 3.8
2006 0.6 1.2 0.3 -0.3 1.6 0.3 -1 0.2 -1 -1.3 -0.4 -0.9 -0.6
2007 1 -0.2 0.1 0.4 0.9 -0.3 0.6 1.1 2.2 -3.5 0.6 -0.3 2.4
2008 2.4 -2.5 3.7 2.1 0.2 0 0.4 -0.7 -1.2 3.8 -13.3 3.1 -3.2
2009 -2.4 -1.2 1.8 0.4 3.8 2.1 0 -3 -3.3 -3.2 1.5 -1.4 -5
2010 1.1 1.9 1 -2.9 -3.2 -0.7 0 3.6 0.4 -0.4 2.1 -0.6 2.2
2011 2 -1.8 0.6 0.1 -2.8 1.6 -0.4 -2.3 -2.9 -3.5 -0.8 -0.6 -10.5
2012 2.1 0.5 -0.1 0.1 -2.8 2.5 -1.2 0.4 0.1 1.4 0.1 1.8 4.9
2013 0.9 0.1 -0.9 -1.8 -0.9 1.4 1.4 -1.3 1.2 -0.1 -0.1 0.4 0.2
2014 -0.4 0.2 1 0.1 -0.1 0.7 -0.1 0.5 -1.3 1.4 -1.2 -0.9 -0.3
2015 -1.5 -0.4 -0.2 0.7 0.1 0.5 0.3 -2.8 -0.1 -0.2 0.8 -1 -3.7
2016 -0.2 1.9 0.1 -0.5 0.5 0.3 -0.4 -0.2 0.9 -1.1 -0.1 -0.4 0.9
2017 -0.1 1.7 0.1 0.3 1.7 0 0.2 0.6 0 -0.2 -0.3 -0.6 3.6
2018 0.2 -0.3 1.1 0.1 0.6 0 -0.4 0.2 -0.9 1.7 0.6 0.7 3.6
2019 0.3 0.7 1.5 -0.9 -1.2 0.3 -1.9 0.2 -1.8 1.5 -0.8 0.2 -2
2020 -1.9 -1.5 -6.3 -4 1.4 -1.3 -0.7 1 1.1 -0.5 1.5 0.2 -10.7
2021 1.8 2.8 0.1 NA NA NA NA NA NA NA NA NA 4.7

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy    ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl> <dbl>    <dbl>
1 2004-01-30  49.2 SPY    113.  0        -0.0083   0.0207   0.0789    0.344   -0.168  -0.0998 <NA>     NA    NA       NA
2 2004-02-02  49.2 SPY    114.  0.0043   -0.0164   0.0242   0.0813    0.324   -0.162  -0.0853 <NA>     NA    NA       NA
3 2004-02-03  49.4 SPY    114. -0.0017   -0.0078   0.0229   0.0805    0.320   -0.163  -0.102  <NA>     NA    NA       NA
4 2004-02-04  48.4 SPY    113. -0.0082   -0.0046   0.0036   0.0647    0.322   -0.174  -0.116  <NA>     NA    NA       NA
5 2004-02-05  48.6 SPY    113.  0.00290  -0.0026   0.0056   0.0702    0.334   -0.179  -0.108  <NA>     NA    NA       NA
6 2004-02-06  49.8 SPY    114.  0.0112    0.0085   0.0135   0.0813    0.355   -0.165  -0.0926 <NA>     NA    NA       NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart